The new efficient frontier, labeled ‘Risk+MaxLoss’, is located between ‘Risk’ and ‘MaxLoss’ efficient frontiers in both Risk, measure by Standard Deviation, and Maximum Loss plots. The main difference between original ‘Risk’ and new ‘Risk+MaxLoss’ portfolios can be seen for their Transition Maps. To control Maximum Loss during mean-variance optimization, the ‘Risk+MaxLoss’ portfolios do not have allocation to Emerging Markets (EEM – highlighted with green).